Index and financial product and method and system for managing said index and financial product

Abstract

An index generally includes two index components. A first index component tracks a basket of futures contracts including at least two or more sets of futures contracts with different delivery months spread over a selected time period. The basket of futures contracts being rolled as certain futures contracts in the basket approach expiration. A second index component tracks a roll differential that indexes to a starting value periodically adjusted by a differential substantially equal in value to a delta between a first value of the futures contracts in the basket approaching expiration and a second value of futures contracts being rolled into a delivery period subsequent to the ending delivery period of the selected time period. The index is priced at least in part based on index values of the basket of futures contracts and the roll differential. Various financial instruments may be created to track the price of the index.

1 . A method of calculating an index price for an index including a selected number of futures contracts for at least one futures type where the a selected number of futures contracts are spread among a selected time period including at least two expiration periods and wherein the selected time period is maintained by rolling the index at a roll period, comprises:
 calculating a first index component price for the index for the selected time period by indexing values for the selected number of futures contracts for the at least one futures type included in the index;   calculating the index price by adding the first index component price to a second index component price wherein the second index component price is initially set at a first value;   recalculating the index price at least at each roll period by:
 recalculating the first index price by indexing then current values for the selected number of futures contracts for the at least one futures type included in the index; 
 calculating a rolling differential value by determining a delta between a first price for the selected number of futures contracts for the at least one futures type that fall within a first period of the at least two expiration periods and a second price for the selected number of futures contracts for the at least one futures type that fall within a forward expiration period subsequent to a last expiration period of the at least two expiration periods; 
 adjusting the first value of the second index component price using the rolling differential value; and 
 calculating the index price by combining the first index component price and the second index component price. 
   
   
   
       2 . The method of  claim 1 , wherein the selected time period is between two and 24 months. 
   
   
       3 . The method of  claim 1 , wherein the at least two expiration periods includes an expiration period in each month of the selected time period. 
   
   
       4 . The method of  claim 1 , wherein the at least two expiration periods includes an expiration period in each quarter year of the selected time period. 
   
   
       5 . The method of  claim 1 , further comprising rolling the index by selling the selected number of futures contracts for the at least one futures type that fall within the first period of the at least two expiration periods; and buying an equal number of futures contracts to the selected number of futures contracts for the at least one futures type that fall within the forward expiration period subsequent to the last expiration period. 
   
   
       6 . The method of  claim 1 , wherein the at least one futures type is at least one commodity futures contract. 
   
   
       7 . The method of  claim 6 , wherein the at least one commodity futures contract is selected from the group consisting of energy commodity futures contracts, metal commodity futures contracts, agricultural commodity futures contracts, and soft commodity futures contracts. 
   
   
       8 . The method of  claim 1 , wherein the at least one futures type includes a plurality of commodity futures contracts. 
   
   
       9 . The method of  claim 8 , wherein the at least one futures type including a plurality of commodity futures contracts is selected from the group consisting of crude oil, brent crude oil, gasoil, unleaded gasoline, jet fuel, natural gas, liquefied natural gas, propane, ethanol, heating oil, coal, and electricity. 
   
   
       10 . The method of  claim 1 , wherein the at least one futures type includes a plurality of equity futures contracts. 
   
   
       11 . The method of  claim 1 , wherein the at least one futures type includes a plurality of foreign exchange futures contracts. 
   
   
       12 . The method of  claim 1 , wherein the at least one futures type includes a plurality of bond futures contracts. 
   
   
       13 . The method of  claim 1 , wherein the index includes a plurality of futures types and the selected number of futures contracts included in the index for each of the plurality of futures types is determined by a weighting factor, and the step of calculating the first index component price further comprises calculating an average price for the selected number of futures contracts included in the index for each of the plurality of futures types using the weighting factor. 
   
   
       14 . The method of  claim 1 , wherein the selected time period for the index is twelve (12) months. 
   
   
       15 . The method of  claim 14 , wherein the index includes the selected number of futures contracts in each of the twelve months of the selected time period and the index is rolled on a monthly basis. 
   
   
       16 . The method of  claim 14 , wherein the index includes the selected number of futures contracts in each quarter of the twelve months of the selected time period and the index is rolled on a quarterly basis. 
   
   
       17 . The method of  claim 1 , wherein the first index price component and second index price component are determined at least in part using futures contract prices derived from settlement prices for the at least one futures type. 
   
   
       18 . The method of  claim 17 , wherein the settlement prices are provided by an exchange selected from the group consisting of the New York Mercantile Exchange, New York Board of Trade, Chicago Mercantile Exchange, Chicago Board of Trade, International Securities Exchange, London Clearing House, and Intercontinental Exchange. 
   
   
       19 . An index, comprising:
 a basket of futures contracts, the basket including at least two or more sets of futures contracts with different delivery months spread over a selected time period having a starting delivery period and an ending delivery, and wherein the basket of futures contracts is rolled as certain futures contracts in the basket approach expiration;   a roll differential component that indexes to a starting value periodically adjusted by a differential substantially equal in value to a delta between a first value of the futures contracts in the basket approaching expiration and a second value of futures contracts being rolled into a delivery period subsequent to the ending delivery period of the selected time period; and   wherein the index is priced at least in part based on index values of the basket of futures contracts and the roll differential component.   
   
   
       20 . The index of  claim 19 , wherein the basket of futures products includes one or more commodities. 
   
   
       21 . The index of  claim 20 , wherein at least one of the one or more commodities are selected from the group consisting of crude oil, brent crude oil, gasoil, unleaded gasoline, jet fuel, natural gas, liquefied natural gas, propane, ethanol, heating oil, coal, and electricity. 
   
   
       22 . The index of  claim 19 , wherein the basket of futures products includes one or more equity futures contracts. 
   
   
       22 . The index of  claim 19 , wherein the basket of futures products includes one or more bond futures contracts. 
   
   
       23 . The index of  claim 19 , wherein the basket of futures products includes one or more foreign exchange futures contracts. 
   
   
       24 . The index of  claim 19 , wherein the selected time period is between two and 24 months. 
   
   
       25 . The index of  claim 19 , wherein the selected time period is a number of consecutive months. 
   
   
       26 . The index of  claim 19 , wherein the selected time period is a number of consecutive quarters. 
   
   
       27 . The index of  claim 19 , wherein the starting value of the roll differential component is par. 
   
   
       28 . The index of  claim 27 , wherein par is 100. 
   
   
       29 . The index of  claim 27 , wherein the starting value of the roll differential component is determined at least in part based on historical data for futures contracts in the basket of futures contracts. 
   
   
       30 . The index of  claim 29 , wherein the historical data for futures contracts in the basket of futures contracts is used at least in part to calculated an expected negative roll amount throughout a finite term for the index. 
   
   
       31 . A commodities futures index comprising the index of  claim 19 . 
   
   
       32 . A security based on the index of  claim 19 . 
   
   
       33 . A financial instrument, comprising:
 a first security component that indexes to a basket of futures contracts, the basket including at least two or more sets of futures contracts with different delivery months spread over a selected time period and wherein the basket of futures contracts is rolled as certain futures contracts in the basket approach expiration;   a second security component indexes to a starting value periodically adjusted by a differential substantially equal in value to a delta between a first value of the futures contracts in the basket approaching expiration and a second value of futures contract being rolled into a forward delivery month; and   wherein a price for the financial instrument is based at least in part on values of the first security component and the second security component.   
   
   
       34 . A financial instrument, comprising:
 a rolling index component including futures contracts in a selected amount for a selected index period defined by a first month and a last month, the index being rolled by selling the futures contracts for the first month and buying an equal number of futures contracts for a new month which is after the last month.   
   
   
       35 . The financial instrument of  claim 34 , wherein the index period is twelve (12) months. 
   
   
       36 . The financial instrument of  claim 34 , wherein the futures contracts are for a selected commodity class. 
   
   
       37 . The financial instrument of  claim 36 , wherein the commodity class is energy. 
   
   
       38 . The financial instrument of  claim 36 , wherein the commodity class is agricultural. 
   
   
       39 . The financial instrument of  claim 36 , wherein the commodity class includes both energy and agricultural commodity types. 
   
   
       40 . The financial instrument of claim,  34 , wherein the index is rolled on a monthly basis such that the new month is a month immediately following the last month. 
   
   
       41 . The financial instrument of  claim 34 , wherein the futures contracts are selected from a group consisting of: crude oil, brent crude oil, gasoil, unleaded gasoline, jet fuel, natural gas, liquefied natural gas (LNG), propane, ethanol, heating oil, coal, and electricity. 
   
   
       42 . The financial instrument of  claim 34 , further comprising a security that tracks the price of the index. 
   
   
       43 . The financial instrument of  claim 42 , wherein the security is publicly traded. 
   
   
       44 . The financial instrument of  claim 34 , further comprising a cumulative rolling index that tracks a price differential between the first month and the new month, whereby the price differential tracked by the cumulative rolling index offsets any price differential realized by rolling the index. 
   
   
       45 . The financial instrument of  claim 44 , wherein the index and cumulative rolling index may be bought and sold as separate products. 
   
   
       46 . A financial instrument, comprising:
 a first entity holding a first structured note substantially tracking a first index component and a second structured note substantially tracking a second index component;   a second entity wherein substantially all assets of the second entity are invested in the first entity; and   wherein from the second entity a number of creation units is issued that can be purchased by one or more qualified investors.   
   
   
       47 . The financial instrument of  claim 46 , wherein the first index component is an average of one or more futures contracts for a plurality of delivery expirations in which a roll is performed on a periodic basis, and wherein the second index component tracks a delta calculated using the roll. 
   
   
       48 . The financial instrument of  claim 47 , wherein the first index component includes a plurality of commodity futures contracts. 
   
   
       49 . The financial instrument of  claim 47 , wherein the first entity is a limited liability company. 
   
   
       50 . The financial instrument of  claim 47 , wherein the second entity is a trust. 
   
   
       51 . The financial instrument of  claim 50 , wherein the creation units issued from the trust each include a number of shares representing a share in the first structured note substantially tracking the first index component and the second structured note substantially tracking the second index component. 
   
   
       52 . A system for calculating an index price for an index including a selected number of futures contracts for at least one futures type where the a selected number of futures contracts are spread among a selected time period including at least two expiration periods and wherein the selected time period is maintained by rolling the index, comprises:
 a computer operative with programming to:
 calculate a first index component price for the index for the selected time period by indexing values for the selected number of futures contracts for the at least one futures type included in the index; 
 calculate the index price by adding the first index component price to a second index component price wherein the second index component price is initially set at a first value; 
 recalculate the index price at least at each roll period by recalculating the first index price by indexing then current values for the selected number of futures contracts for the at least one futures type included in the index; 
 calculate a rolling differential value by determining a delta between a first price for the selected number of futures contracts for the at least one futures type that fall within a first period of the at least two expiration periods and a second price for the selected number of futures contracts for the at least one futures type that fall within a forward expiration month subsequent to a last expiration period of the at least two expiration periods; 
 adjust the first value of the second index component price using the rolling differential value; and 
 calculate the index price by combining the first index component price and the second index component price. 
   
   
   
       53 . An index, comprising: a basket of futures contracts, the basket including at least two or more sets of futures contracts with different delivery months spread over a selected time period having a starting delivery period and an ending delivery period, wherein the basket of futures contracts is rolled as certain futures contracts in the basket approach expiration by selling the futures contracts in the starting delivery period and purchasing futures contracts in a delivery period subsequent to the ending delivery period. 
   
   
       54 . The index of  claim 53 , wherein the futures contracts are commodity futures contracts. 
   
   
       55 . The index of  claim 54 , wherein the commodity futures contracts are selected from a group consisting of: crude oil, brent crude oil, gasoil, unleaded gasoline, jet fuel, natural gas, liquefied natural gas (LNG), propane, ethanol, heating oil, coal, and electricity. 
   
   
       56 . The index of  claim 53 , wherein the basket of futures contracts comprises a plurality of commodity futures contracts that are weighted. 
   
   
       57 . The index of  claim 56 , wherein the plurality of commodity futures contracts that are weighted according at least to a production value for each of the futures contracts within the plurality of commodity futures contracts. 
   
   
       58 . The index of  claim 56 , wherein the plurality of commodity futures contracts that are weighted according to a characteristic of a curve representative of a value of each of the futures contracts within the plurality of commodity futures contracts.